FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
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Publication:2909517
DOI10.1142/S0219024912500318zbMath1246.91151arXiv1203.6899OpenAlexW3122698138MaRDI QIDQ2909517
Martijn R. Pistorius, Johannes Stolte
Publication date: 30 August 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.6899
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Singular Fourier–Padé series expansion of European option prices ⋮ Chebyshev interpolation for parametric option pricing ⋮ A PDE method for estimation of implied volatility ⋮ Rational term structure models with geometric Lévy martingales
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